MINIMUM TSALLIS PORTFOLIO
Yıl: 2022 Cilt: 7 Sayı: 1 Sayfa Aralığı: 90 - 102 Metin Dili: İngilizce DOI: 10.54452/jrb.1030739 İndeks Tarihi: 13-01-2023
MINIMUM TSALLIS PORTFOLIO
Öz: Mean-variance portfolio optimization model has been shown to have serious drawbacks. The model assumes that assets returns are normally distributed that is not valid for most of the markets and portfolios. It also relies on asset’s covariance matrices for the calculation of portfolio’s risk that is open to estimation errors. Moreover, these optimization errors are maximized by the method that result in poor out-of-sample performances. In this study, we propose a new portfolio optimization method based on minimization of Tsallis entropy, which is valid for any underlying distribution. First, we show that the Tsallis entropy can be employed as a risk measure for portfolio analysis. Then we demonstrate the validity of the model by comparing its performance with those mean-variance and minimum-variance portfolios using BIST 30 data.
Anahtar Kelime: MİNİMUM TSALLİS PORTFÖYÜ
Öz: Ortalama-varyans portföy optimizasyon modelinin ciddi dezavantajları olduğu gösterilmiştir. Model, çoğu piyasa ve portföy için geçerli olmayan varlık getirilerinin normal dağıldığını varsaymaktadır. Ayrıca model portföy riskinin hesaplanmasında tahmin hatalarına açık olan varlık kovaryans matrislerini kullanmaktadır. Üstelik, bu optimizasyon hataları, model tarafından maksimize edilerek zayıf örneklem dışı performanslara neden olmaktadır. Bu sorunları aşmak için, bu çalışmada, herhangi bir dağılım için geçerli olan Tsallis entropisinin minimizasyonuna dayalı yeni bir portföy optimizasyonu modeli önerilmektedir. İlk olarak, Tsallis entropisinin portföy analizi için bir risk ölçüsü olarak kullanılabileceği gösterilmektedir. Ardından, modelin geçerliliği BIST 30 verileri kullanılarak ortalama-varyans ve minimum-varyans portföyleri ile karşılaştırmalı olarak gösterilmektedir. Sonuçlar Minimum Tsallis portföyün ortalama-varyans ve minimum varyans portföylerine benzer Sharpe Ratio değerlerine ulaştığını fakat daha fazla çeşitlendirilmiş olduğunu görtermiştir. Bu Minimum Tsallis portföyün örneklem dışı veri ile daha iyi performans gösterebileceğine işaret etmektedir.
Anahtar Kelime: Belge Türü: Makale Makale Türü: Araştırma Makalesi Erişim Türü: Erişime Açık
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| APA | ustaoğlu e, EVREN A (2022). MINIMUM TSALLIS PORTFOLIO. , 90 - 102. 10.54452/jrb.1030739 |
| Chicago | ustaoğlu erhan,EVREN ATIF AHMET MINIMUM TSALLIS PORTFOLIO. (2022): 90 - 102. 10.54452/jrb.1030739 |
| MLA | ustaoğlu erhan,EVREN ATIF AHMET MINIMUM TSALLIS PORTFOLIO. , 2022, ss.90 - 102. 10.54452/jrb.1030739 |
| AMA | ustaoğlu e,EVREN A MINIMUM TSALLIS PORTFOLIO. . 2022; 90 - 102. 10.54452/jrb.1030739 |
| Vancouver | ustaoğlu e,EVREN A MINIMUM TSALLIS PORTFOLIO. . 2022; 90 - 102. 10.54452/jrb.1030739 |
| IEEE | ustaoğlu e,EVREN A "MINIMUM TSALLIS PORTFOLIO." , ss.90 - 102, 2022. 10.54452/jrb.1030739 |
| ISNAD | ustaoğlu, erhan - EVREN, ATIF AHMET. "MINIMUM TSALLIS PORTFOLIO". (2022), 90-102. https://doi.org/10.54452/jrb.1030739 |
| APA | ustaoğlu e, EVREN A (2022). MINIMUM TSALLIS PORTFOLIO. Journal of research in business (online), 7(1), 90 - 102. 10.54452/jrb.1030739 |
| Chicago | ustaoğlu erhan,EVREN ATIF AHMET MINIMUM TSALLIS PORTFOLIO. Journal of research in business (online) 7, no.1 (2022): 90 - 102. 10.54452/jrb.1030739 |
| MLA | ustaoğlu erhan,EVREN ATIF AHMET MINIMUM TSALLIS PORTFOLIO. Journal of research in business (online), vol.7, no.1, 2022, ss.90 - 102. 10.54452/jrb.1030739 |
| AMA | ustaoğlu e,EVREN A MINIMUM TSALLIS PORTFOLIO. Journal of research in business (online). 2022; 7(1): 90 - 102. 10.54452/jrb.1030739 |
| Vancouver | ustaoğlu e,EVREN A MINIMUM TSALLIS PORTFOLIO. Journal of research in business (online). 2022; 7(1): 90 - 102. 10.54452/jrb.1030739 |
| IEEE | ustaoğlu e,EVREN A "MINIMUM TSALLIS PORTFOLIO." Journal of research in business (online), 7, ss.90 - 102, 2022. 10.54452/jrb.1030739 |
| ISNAD | ustaoğlu, erhan - EVREN, ATIF AHMET. "MINIMUM TSALLIS PORTFOLIO". Journal of research in business (online) 7/1 (2022), 90-102. https://doi.org/10.54452/jrb.1030739 |
